http://www.skype.com/help/guides/firewalls/mcafee.html
SKYPE and Firewalls.

1. Launch McAfee Security Center (Start > All Programs > McAfee > McAfee Security Center).

2. Select “Personal firewall plus” tab from the left hand menu.

3. Click on “View the Internet Applications List”.

4. Find and select Skype in the list of Internet Applications.

5. Right click on the Permissions column.

6. Select “Allow Full Access” from the drop-down menu.

Congratulations, you have successfully updated your McAfee firewall.

Restart Skype, it will automatically reconnect (this can take up to two minutes).

If Skype cannot still connect, try restarting your computer or contact your system administrator or ISP for further assistance.